Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates
نویسندگان
چکیده
منابع مشابه
Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates
In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic diffusion models with an affine drift term and additive noise. As a result, the diffusion process is...
متن کاملtight frame approximation for multi-frames and super-frames
در این پایان نامه یک مولد برای چند قاب یا ابر قاب تولید شده تحت عمل نمایش یکانی تصویر برای گروه های شمارش پذیر گسسته بررسی خواهد شد. مثال هایی از این قاب ها چند قاب های گابور، ابرقاب های گابور و قاب هایی برای زیرفضاهای انتقال پایاست. نشان می دهیم که مولد چند قاب تنک نرمال شده (ابرقاب) یکتا وجود دارد به طوری که مینیمم فاصله را از ان دارد. همچنین مسایل مشابه برای قاب های دوگان مطرح شده و برخی ...
15 صفحه اولMarkov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
This paper empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the elasticity of volatility parameter for single regime models unanimously indicate an explosive volatility process, while the Markov-switching models estimates are reasonable. We find that either Markov-swit...
متن کاملAn Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be efficiently performed through the FFT methodology thanks to the affine property of the model. Our framework is also able to describe many non trivi...
متن کاملApproximation of stochastic advection diffusion equations with finite difference scheme
In this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm Ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. We applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. The main properties of deterministic difference schemes,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Risks
سال: 2013
ISSN: 2227-9091
DOI: 10.3390/risks1030081